Receding horizon observer for linear time-varying systems

Abstract

In this paper, we present a receding horizon observer for linear time-varying systems. Our main contribution is that known deterministic input has been fully dealt with. This poses considerable challenges for recursive formulation of the filter. The suggested observer can be used in closed-loop feedback control systems. The existing finite memory filters lack this ability. First- and second-order statistical convergence analysis carried out in this paper provide an insight into the stochastic behaviour of the observer. Some examples demonstrate the utility of the proposed filter.